The fire gutted the million-dollar house in Avila, an upscale community near Tampa. Col. Donna Lusczynski, a spokeswoman for the Hillsborough County Sheriff's Department, said authorities have been trying to reach Blake, who is believed to have rented the house and to be living in Connecticut.
The mansion was still burning Wednesday afternoon and Lusczynski said investigators might not be able to enter it until Thursday.
No information had been released about the bodies or the cause of the fire. Firefighters reportedly noticed fireworks in the house.
The fire was reported shortly before 6 a.m. after a neighbor heard something exploding.
The house, about 6,000 square feet, has five bedrooms and bathrooms along with a pool and spa.
Blake, 34, retired from professional tennis last year after the U.S. Open. He co-authored a memoir, Breaking Back: How I Lost Everything and Won Back My Life, about the broken neck that almost destroyed his career in 2004.